Measuring and Managing the Longevity Risk: An Empirical Evidence From the Italian Pension Market

Albina Orlando (), Govanna di Lorenzo () and Massimiliano Politano ()
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Albina Orlando: Consiglio Nazionale delle Ricerche, Istituto per le Applicazioni del Calcolo Mauro Picone
Govanna di Lorenzo: University of Naples, Dipartimento di Scienze Economiche e Statistiche
Massimiliano Politano: University of Naples, Dipartimento di Scienze Economiche e Statistiche

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2014, pp 163-166 from Springer

Abstract: Abstract This paper deals with the problem of quantifying the longevity impact for defined contribution pension funds in a stochastic environment. In the accumulation phase it is well known that, in presence of a benefit guarantee, the investment risk dominates the demographic one. However, if the generic subscriber life expectancy increases, it is very likely that, in the decumulation phase, the wealth accrued will not be able to cover the liabilities of the fund. For this reason, the fund will be forced to set aside more resources in order to front its liabilities exposing itself to greater financial risk. In this paper we study the interaction between financial risk and longevity: based on the Italian experience for both financial and demographic factors, this work aims to measure the impact of longevity on the financial factor.

Keywords: Pension funds; Longevity risk; Forecasting mortality; Financial risk (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-05014-0_37

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DOI: 10.1007/978-3-319-05014-0_37

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